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Displaying results 1 to 4 of 4.

  1. The cross-sectional spillovers of single stock circuit breakers
    Author: Brugler, James; Linton, Oliver; Noss, Joseph; Pedace, Lucas
    Published: October 2018
    Publisher:  Bank of England, London

    Location:
    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Series: Staff working paper / Bank of England ; no. 759
    Subjects: Circuit breakers; market microstructure; market quality
    Scope: 1 Online-Ressource (circa 35 Seiten), Illustrationen
  2. Single stock circuit breakers on the London Stock Exchange
    do they improve subsequent market quality?
    Author: Brugler, James; Linton, Oliver
    Published: 2014
    Publisher:  Centre for Microdata Methods and Practice, London

    This paper uses proprietary data to evaluate the efficacy of single-stock circuit breakers on the London Stock Exchange during July and August 2011. We exploit exogenous variation in the length of the uncrossing periods that follow a trading... more

    Location:
    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
    Signature:
    DS 243 (2014,7)
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    This paper uses proprietary data to evaluate the efficacy of single-stock circuit breakers on the London Stock Exchange during July and August 2011. We exploit exogenous variation in the length of the uncrossing periods that follow a trading suspension to estimate the effect of auction length on market quality, measured by volume of trades, frequency of trading and the change in realized variance of returns. We also estimate the effect of a trading suspension in one FTSE-100 stock on the volume of trades, trading frequency and the change in realized variance of returns for other FTSE-100 stocks. We find that auction length has a significant detrimental effect on market quality for the suspended security when returns are negative but no discernible effect when returns are positive. We also find that trading suspensions help to ameliorate the spread of market microstructure noise and price inefficiency across securities during falling markets but the reverse is true during rising markets. Although trading suspensions may not improve the trading process within a particular security, they do play an important role preventing the spread of poor market quality across securities in falling markets and therefore can be effective tools for promoting market-wide stability.

     
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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Other identifier:
    hdl: 10419/97379
    Series: Cemmap working paper / Centre for Microdata Methods and Practice ; 07/14
    Scope: Online-Ressource (48 S.), graph. Darst.
  3. Interactions among high-frequency traders
    Author: Benos, Evangelos; Brugler, James; Hjalmarsson, Erik; Zikes, Filip
    Published: December 2016
    Publisher:  Department of Economics, Göteborg University, Göteborg

    Location:
    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
    Signature:
    VS 50 (680)
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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Other identifier:
    hdl: 2077/50717
    Series: Working papers in economics ; no. 680
    Subjects: Elektronisches Handelssystem; Aktienmarkt; Korrelation; Börsenkurs; Großbritannien
    Scope: 1 Online-Ressource (circa 48 Seiten), Illustrationen
  4. Into the light
    dark pool trading and intraday market quality on the primary exchange
    Author: Brugler, James
    Published: 2015
    Publisher:  Bank of England, London

    Location:
    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
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    Content information
    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Series: Staff working paper / Bank of England ; 545
    Subjects: Dark pools; dark trading; market quality
    Scope: Online-Ressource (37 S.), graph. Darst.